JOINING THE HESTON AND A THREE-FACTOR SHORT RATE MODEL: A CLOSED-FORM APPROACH

DOI10.1142/S0219024915500569zbMath1337.91100OpenAlexW3122483081MaRDI QIDQ3467603

Roman Horsky, Tilman Sayer

Publication date: 3 February 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024915500569

zbMATH Keywords

stochastic volatilityanalytic solutionstochastic interest rateHeston modeloption valuationtwo-factor Hull-White model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching

Cites Work

• Unnamed Item
• Extension of stochastic volatility equity models with the Hull–White interest rate process
• On the Heston Model with Stochastic Interest Rates
• FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
• Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model
• VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
• Interest rate models -- theory and practice

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